Limit theorems for sums of random variables with mixture distribution

被引：2

作者：

Panov, Vladimir ^{[1
]}

机构：

[1] Natl Res Univ, Higher Sch Econ, Int Lab Stochast Anal & Its Applicat, Shabolovka 26, Moscow 119049, Russia

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 129卷

关键词：

Mixture distribution; Central limit theorem; Stable distribution; Phase transition; MODELS;

D O I：

10.1016/j.spl.2017.06.017

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the case when both the mixing coefficient and the truncation level depend on the number of summands. The aim of this research is to characterize the limiting distributions of the sums due to various relations between these parameters. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：379 / 386

页数：8

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